Two-faced property of a market factor in asset pricing and diversification effect

详细信息    查看全文

• 作者：Cheoljun Eom ^{shunter@pusan.ac.kr}
• 关键词：Market factor ; Asset pricing ; Portfolio diversification ; Correlation matrix ; Stock network ; Mean&ndash ; variance optimization function
• 刊名：Physica A: Statistical Mechanics and its Applications
• 出版年：2017
• 出版时间：1 April 2017
• 年：2017
• 卷：471
• 期：Complete
• 页码：190-199
• 全文大小：1354 K
• 卷排序：471

文摘

This study focuses on the largest eigenvalue having the property of the market factor. The largest eigenvalue has the highest explanatory power on the stock return changes. The largest eigenvalue prevents the construction of a well-diversified portfolio. The market factor has the two-faced property in the pricing and the portfolio diversification. The devised method assists in constructing a more diversified portfolio with better performance.